– May has produced strongest monthly performance for USD in QE era. May marks the best month of the year for the US Dollar after the seasonally worst month.
– Australian Dollar, Euro have typically led underperformers. The commodity currencies have typically rallied slumped during May.
– Variation of returns is higher than other months; volatility is common.
For May, we continue to focus on the period of 2005 to 2016. The small sample size is not ideal, and we recognize that there is increased statistical stability with using longer time periods. However, because of the specific uniqueness of the past twelve years relative to any other time period in market history – the era of quantitative easing – we’ve elected to attempt to increase the stability of the estimates with the shorter time period.
May is a bearish month for EUR/USD, from a seasonality perspective, due to its inconsistent performance metrics. The pair has lost ground 55% of the time in May over the past 20 years, and its average performance during this time frame was -76-pips per month. Recently, EUR/USD has fallen in May in six consecutive years.
From a seasonality perspective, May is a very bearish month for AUD/USD. The pair has depreciated 70% of the time in May over the past 20 years, and its average performance during this time frame was -122-pips per month. Recently, AUD/USD has lost ground in five of the past six years.